Each religion has its benefits and drawbacks.
Catholics have terrible bonuses (+1 tolerance of Catholicism, -1 tolerance of heresy), but they get access to the Papacy, as well as a number of events and decisions that a skilled player can exploit. Also, all Catholic countries belong to the best tech group in the game. They can also get a bonus for owning Mecca or Jerusalem.
Protestants have some good bonuses (10% more taxes, -10% idea cost, no penalty to tolerating heresy) but fewer events. All are in the best tech group. They can also get a bonus for owning Mecca, Jerusalem or Rome. They also get a whopping 1 year's income when they convert. The downsides are going to be less tolerance of their own faith, needing to convert many provinces, and not having many potential coreligionists to ally with or expand into.
Reformed Christians get 10% trade efficiency and 1 extra advisor to choose from. They also get one year's income when they convert. Like Protestants, they get bonuses for owning Mecca, Jerusalem or Rome, and their main downside will be having (extremely) few coreligionists.
Orthodox Christians get 10% cheaper stability and +1 tolerance for Orthodoxy. In addition, they are treated as "misguided heretics" by other Christians, so not hated as much as other heretics. Not sure how that works. They have access to Patriarchal authority, which is basically the same as the Muslim piety as far as I can see. Like other Christians, they get a bonus for owning Jerusalem, Mecca or Rome, and they also get another bonus if they own all five patriarchates. Downside: all Orthodox countries start in a slightly worse techgroup.
We've already discussed Islam. The Eastern religions (Buddhism, Confucianism, Shinto, Hinduism) are all pretty boring - Buddhism and Confucianism are simply good at tolerating heresy (+2 tolerance for heresy, +1 tolerance for heathens) and that's it. Hinduism gives a small bonus to tolerating heresy (+1) and a 5% tax bonus. Shinto gives +50 morale and less tolerance for heathens, which could be an issue for Japan if they get events giving them Catholic provinces. They're also harder to convert, like Muslims.
Pagans are meant to be a penalty - they get +2 tolerance for heretics, which really won't come up in any game given how the two pagan religions are geographically placed - and a whopping -50% defensiveness penalty, which will allow Europeans (or even other pagans) to steamroll them.
Having read the files, I think Reformed is the obvious religion for merchant republics, Protestant for most others, Catholic if you're a massive empire willing to convert its provinces, and Orthodox or Muslim for more interesting events.
